Short Selling and the Weekend Effect for NYSE Securities |
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| Authors: | Benjamin M. Blau,Bonnie F. Van Ness&dagger , Robert A. Van Ness&dagger |
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| Affiliation: | Benjamin M. Blau is an Assistant Professor at Utah State University in Logan, UT.;Bonnie F. Van Ness and Robert A. Van Ness are Associate Professors at the University of Mississippi in University, MS. |
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| Abstract: | Using short-sale transactions data, we examine the relation between short selling and the weekend effect. We do not find that short selling is more abundant on Monday than on Friday, even for stocks that have higher Friday returns. We find that short sellers execute more short-sale volume during the middle of the week, and that the positive correlation between short selling and returns on Monday is greater, on average, than the correlation on the other days of the week. Our results are robust to subsamples of stocks with larger weekend effects and stocks that do not have listed options. |
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